Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies

Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies

In this paper, we introduce a class of stochastic interest model driven by a compoundPoisson process and a Brownian motion, in which the jumping times of force of interest obeyscompound Poisson process and the continuous tiny fluctuations are described by Brownian motion, andthe adjustment in each j...

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Bibliographic Details
Main Authors: Shilong Li, Xia Zhao, Chuancun Yin, Zhiyue Huang
Format: Article
Language:English
Published: AIMS Press 2018-03-01
Series:Quantitative Finance and Economics
Subjects:
compound Poisson process| Brownian motion| force of interest| expected discounted function| life annuity| actuarial present values
Online Access:http://www.aimspress.com/article/10.3934/QFE.2018.1.246/fulltext.html

Internet

http://www.aimspress.com/article/10.3934/QFE.2018.1.246/fulltext.html

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